I didn't know that... I thought they just burned fuel fast
Partly true. The stereotypical rocket following a ballistic flight path is going to consume more fuel than a vehicle that can take advantage of aerodynamic lift*. But the stoichiometric oxygen/fuel mass ratio (for ethane) is about 3.5:1. So for every pound of fuel, you've got to carry 3.5 pounds of O2.
*The stereotypical rocket heading into orbit also suffers from having to pass through a broad range of airspeeds and altitudes quite rapidly. Designing an air-breathing propulsion system that could adapt quickly enough would be quite a challenge. For an airplane (SR-71 for example) that spends a considerable amount of time cruising within a smaller range of altitudes and speeds, its an easier problem to solve.